Moody's enhances EMEA ABS and RMBS performance overviews.
Summary: Moody's Investors Service announced today that it has introduced additional information to its Performance Overview reports of asset-backed securities (ABS) and residential mortgage-backed securities (RMBS) in the Europe, Middle East and Africa (EMEA) region.
Moody's Investors Service announced today that it has introduced additional information to its Performance Overview reports of asset-backed securities (ABS) and residential mortgage-backed securities (RMBS) in the Europe, Middle East and Africa (EMEA) region.
"In response to investor feedback, Performance Overview will now contain
the principal deficiency ledger (PDL) of the transaction, the
International Securities Identification Number (ISIN) and the original
and current credit enhancement of each tranche calculated in a consistent
manner," says Annick Poulain, a Moody's Managing Director. This redesign
is part of an ongoing effort by Moody's to provide the market with timely
and consistent information about the performance of ABS and RMBS
Specifically, Moody's has introduced a dedicated credit enhancement (CE)
section in its Performance Overview reports, to provide key information
needed to determine the credit support levels of each notes. The CE in
all ABS and RMBS transactions in the EMEA region is calculated using the
same formula, thus improving consistency and comparability among
transactions. The CE displayed is defined as: (i) the internal support
provided by (a) all collateralised subordinated notes and (b) any
overcollateralization, excluding excess spread; and (ii) external
support, such as the reserve fund or the cash collateral account. In
Performance Overview reports, the CE will be displayed as a percentage of
the sum of all collateralised notes in the transaction.
Moody's monitoring process begins at closing of a transaction and will
continue as long as the security is rated by us, regardless of seasoning.
Moody's Performance Overview reports are standardised for each transaction
and are designed to aid investors' monitoring efforts. The reports
include information about key transaction parties, including: (i)
current ratings; (ii) a capital structure overview; (iii) support
information, such as target and current level of reserve funds; (iv) key
performance information, such as delinquencies, repossessions or losses;
and (v) performance triggers.
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